MacBook Pro and iTunes

I got a new MacBook Pro to replace my old Dell laptop. I logged into iTunes to download my music library to my MacBook and the only songs that downloaded were the ones in my iCloud (that I bought on iTunes). None of my cds were there. And by each song there was the iCloud symbol. and to actually get the song in my library, I have to click on the cloud and let it download. I have over 2000 songs and that would take forever. Is there a simpler way to download my music? and what is an easy way to download my cds?